Swingtrading indices with pair trading

we know intuitively, anecdotally, that the indices of the world market move in and out of favor with SPY

we know definitively that the degree of correlation varies based on market condition, and can change pretty quickly too

this study looks at what happens if you had a pair trade between each of the main indices and SPY (long the index, short SPY) and held it for 10 days

i look back 400 days in order to find: max, min, average, stdev, and calculate a z score of today’s value to provide context

you will notice that:

1. right now anyway, 10 days seems like a natural oscillation cycle as the indices “dance” with SPY

2. the commodities offer longer and more rewarding trends for the pair trade

this supports my idea of knowing which index “has the juice” right now compared to SPY, being market neutral overnight, and then adding to the strong index when it is outperforming SPY early in the day, using the leveraged ETFs to get a nice move intraday, and then going mkt neutral overnight once more. Repeat while the index:SPY relationship is in force.

the 10 day sum of performance seems to smooth it out a little, nothing magic about it